{"id":17541,"date":"2012-01-10T22:30:02","date_gmt":"2012-01-11T02:30:02","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=17541"},"modified":"2012-01-10T22:30:02","modified_gmt":"2012-01-11T02:30:02","slug":"january-10-2012","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=17541","title":{"rendered":"January 10, 2012"},"content":{"rendered":"

The bloom is off the ETF rose<\/a>:<\/p>\n

As more and more exchange-traded funds enter the market, appetites for new baskets of stocks seem to be diminishing \u2013 at least in the United States. According to the Financial Times and XTF, an ETF research firm, 79 per cent of the 190 ETFs launched in the first six months of 2011 failed to attract enough money to make the new funds economical and sufficiently liquid (defined as more than $30-million (U.S.) in assets under management).<\/p><\/blockquote>\n

And covered bonds are being swept up in the Greek tragedy<\/a>:<\/p>\n

Now National Bank of Greece has invited investors in for a haircut. The country\u2019s biggest bank by assets has offered to buy back \u20ac1.5-billion of covered bonds and nearly \u20ac400-million of hybrid securities it issued over the past couple of years. It aims to turn debt into core equity capital. Any investors who do not accept the offer are gambling that Greece can manage its way out of its debt spiral.<\/p>\n

Will indifference over earnings continue? NBG sold the covered bonds at full face value in 2009, but the market price had fallen to about 55 per cent. The bank is offering to buy the bonds back at 70 per cent. That looks generous: although the bonds are twice collateralized, the prospect that investors will be repaid in full when the bonds mature in 2016 looks remote given Greece\u2019s dire financial and economic prognosis. Private-sector holders of Greek sovereign bonds face a 60 per cent writedown on their investments when (or if) another bail-out is agreed.<\/p><\/blockquote>\n

Lapdog Carney continues to reap the rewards<\/a> of toeing the line:<\/p>\n

Overseeing his first official meeting as head of the FSB in Basel, Switzerland, Mr. Carney said the FSB\u2019s oversight would be expanded later this year to include big domestic banks and insurers, whose capital may have to be bolstered to protect them from the financial shocks that felled many financial institutions in the 2008 credit crunch.<\/p>\n

\u201cWe\u2019ve already focused on the big global banks,\u201d Mr. Carney said in an interview after the FSB meetings. \u201cNow we turn to everything else and we say, \u2018Do we have institutions that are systemic domestically but don\u2019t have these big global spillovers that would bring everybody else to the edge?\u2019 And if we do have those, what type of approach should we have?\u201d
…<\/b>
Mr. Carney said there are no plans to publish the names of insurers that will be subject to deeper scrutiny. The insurers have argued that they are not the cause of the financial crisis and should not have to sustain expensive capital surcharges.<\/p><\/blockquote>\n

Hellzapoppin’ on the Canadian preferred share market today, with PerpetualDiscounts winning 78bp, FixedResets up 39bp and DeemedRetractibles gaining 51bp. There is a long list of issues in the Performance Highlights table, all winners, with insurer issues being notable by their preponderance at the high end of the table. Volume was very heavy.<\/p>\n

The Bozo Spread (Current Yield PerpetualDiscounts less Current Yield FixedResets) has declined again and now stands at a mere 1bp … will it go negative? Now that the Lapdog’s yapping about insurance, we might see some indication of extension of the NVCC rules. Or we might not. But the last time the Bozo Spread went negative, we saw the NVCC rules introduced for banks shortly thereafter. What makes this even more fascinating is that all the insurance issues have been pulled out of the PerpetualDiscount index and are now sitting in DeemedRetractibles … so if history is repeating itself, it’s only because the PerpetualDiscounts are hanging onto the coat-tails of DeemedRetractibles.<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices<\/strong>
Values are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
Current
Yield
(at bid)<\/td>\n		Median
YTW<\/td>\n		Median
Average
Trading
Value<\/td>\n		Median
Mod Dur
(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n1.7222 %<\/td>\n2,248.1<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.73 %<\/td>\n4.16 %<\/td>\n37,633<\/td>\n16.98<\/td>\n1<\/td>\n1.1575 %<\/td>\n3,260.5<\/td>\n<\/tr>\n
Floater<\/td>\n2.96 %<\/td>\n3.12 %<\/td>\n68,880<\/td>\n19.45<\/td>\n3<\/td>\n1.7222 %<\/td>\n2,427.3<\/td>\n<\/tr>\n
OpRet<\/td>\n4.95 %<\/td>\n1.50 %<\/td>\n66,865<\/td>\n1.34<\/td>\n7<\/td>\n0.2752 %<\/td>\n2,494.6<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.38 %<\/td>\n1.00 %<\/td>\n70,622<\/td>\n0.91<\/td>\n4<\/td>\n0.1832 %<\/td>\n2,598.6<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2752 %<\/td>\n2,281.1<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.42 %<\/td>\n-0.41 %<\/td>\n83,844<\/td>\n0.09<\/td>\n23<\/td>\n0.2016 %<\/td>\n2,208.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.07 %<\/td>\n4.89 %<\/td>\n147,784<\/td>\n14.60<\/td>\n7<\/td>\n0.7784 %<\/td>\n2,391.6<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.06 %<\/td>\n2.68 %<\/td>\n201,447<\/td>\n2.39<\/td>\n64<\/td>\n0.3942 %<\/td>\n2,374.4<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.92 %<\/td>\n3.47 %<\/td>\n198,403<\/td>\n1.73<\/td>\n46<\/td>\n0.5094 %<\/td>\n2,289.9<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset<\/td>\n1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-01-10
\nMaturity Price : 23.49
\nEvaluated at bid price : 25.80
\nBid-YTW : 2.78 %<\/td>\n<\/tr>\n
TD.PR.K<\/td>\nFixedReset<\/td>\n1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.58
\nBid-YTW : 1.96 %<\/td>\n<\/tr>\n
BNS.PR.X<\/td>\nFixedReset<\/td>\n1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-04-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.35
\nBid-YTW : 1.88 %<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nDeemed-Retractible<\/td>\n1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-02-25
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.41
\nBid-YTW : -3.78 %<\/td>\n<\/tr>\n
RY.PR.F<\/td>\nDeemed-Retractible<\/td>\n1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-05-24
\nMaturity Price : 25.25
\nEvaluated at bid price : 26.11
\nBid-YTW : 3.52 %<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nDeemed-Retractible<\/td>\n1.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.96
\nBid-YTW : 5.62 %<\/td>\n<\/tr>\n
BAM.PR.G<\/td>\nFixedFloater<\/td>\n1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-01-10
\nMaturity Price : 21.40
\nEvaluated at bid price : 20.10
\nBid-YTW : 4.16 %<\/td>\n<\/tr>\n
MFC.PR.G<\/td>\nFixedReset<\/td>\n1.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.45
\nBid-YTW : 4.63 %<\/td>\n<\/tr>\n
PWF.PR.O<\/td>\nPerpetual-Premium<\/td>\n1.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-10-31
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.84
\nBid-YTW : 4.25 %<\/td>\n<\/tr>\n
BAM.PR.P<\/td>\nFixedReset<\/td>\n1.42 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-09-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.93
\nBid-YTW : 2.61 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nDeemed-Retractible<\/td>\n1.46 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.20
\nBid-YTW : 6.00 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset<\/td>\n1.49 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.55
\nBid-YTW : 2.49 %<\/td>\n<\/tr>\n
GWO.PR.N<\/td>\nFixedReset<\/td>\n1.58 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.85
\nBid-YTW : 3.58 %<\/td>\n<\/tr>\n
SLF.PR.B<\/td>\nDeemed-Retractible<\/td>\n1.58 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.83
\nBid-YTW : 5.46 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nDeemed-Retractible<\/td>\n1.81 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.51
\nBid-YTW : 5.90 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset<\/td>\n2.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.51
\nBid-YTW : 3.66 %<\/td>\n<\/tr>\n
MFC.PR.D<\/td>\nFixedReset<\/td>\n2.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-06-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.51
\nBid-YTW : 2.53 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nDeemed-Retractible<\/td>\n2.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.33
\nBid-YTW : 5.60 %<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetual-Discount<\/td>\n2.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-01-10
\nMaturity Price : 24.03
\nEvaluated at bid price : 24.32
\nBid-YTW : 4.90 %<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nDeemed-Retractible<\/td>\n2.36 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.55
\nBid-YTW : 5.85 %<\/td>\n<\/tr>\n
BNS.PR.M<\/td>\nDeemed-Retractible<\/td>\n2.39 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-07-27
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.53
\nBid-YTW : 0.13 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n2.42 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-01-10
\nMaturity Price : 16.90
\nEvaluated at bid price : 16.90
\nBid-YTW : 3.12 %<\/td>\n<\/tr>\n
BAM.PR.N<\/td>\nPerpetual-Discount<\/td>\n2.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-01-10
\nMaturity Price : 23.83
\nEvaluated at bid price : 24.32
\nBid-YTW : 4.89 %<\/td>\n<\/tr>\n
SLF.PR.A<\/td>\nDeemed-Retractible<\/td>\n2.81 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.75
\nBid-YTW : 5.45 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset<\/td>\n2.84 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.55
\nBid-YTW : 4.41 %<\/td>\n<\/tr>\n
BNS.PR.L<\/td>\nDeemed-Retractible<\/td>\n3.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-04-26
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.62
\nBid-YTW : -4.57 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n3.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-01-10
\nMaturity Price : 16.76
\nEvaluated at bid price : 16.76
\nBid-YTW : 3.15 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
Traded<\/td>\n		Notes<\/td>\n<\/tr>\n
ENB.PR.D<\/td>\nFixedReset<\/td>\n190,200<\/td>\nTD crossed 50,000 at 25.28.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-01-10
\nMaturity Price : 23.20
\nEvaluated at bid price : 25.30
\nBid-YTW : 3.57 %<\/td>\n<\/tr>\n
BNS.PR.O<\/td>\nDeemed-Retractible<\/td>\n87,050<\/td>\nRBC crossed 79,100 at 27.15.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-04-26
\nMaturity Price : 26.00
\nEvaluated at bid price : 27.14
\nBid-YTW : 1.69 %<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nDeemed-Retractible<\/td>\n62,475<\/td>\nRBC bought 11,500 from anonymous at 22.25.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.06
\nBid-YTW : 6.08 %<\/td>\n<\/tr>\n
TD.PR.R<\/td>\nDeemed-Retractible<\/td>\n58,118<\/td>\nNesbitt crossed 49,700 at 27.10.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-04-30
\nMaturity Price : 26.00
\nEvaluated at bid price : 27.06
\nBid-YTW : 1.95 %<\/td>\n<\/tr>\n
MFC.PR.D<\/td>\nFixedReset<\/td>\n57,545<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-06-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.51
\nBid-YTW : 2.53 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset<\/td>\n54,362<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-01-10
\nMaturity Price : 23.49
\nEvaluated at bid price : 25.55
\nBid-YTW : 2.51 %<\/td>\n<\/tr>\n
There were 61 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n
Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nQuote Data and Yield Notes<\/td>\n<\/tr>\n
PWF.PR.A<\/td>\nFloater<\/td>\nQuote: 19.50 – 20.47
\nSpot Rate : 0.9700
\nAverage : 0.8082<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-01-10
\nMaturity Price : 19.50
\nEvaluated at bid price : 19.50
\nBid-YTW : 2.71 %<\/td>\n<\/tr>\n

SLF.PR.D<\/td>\nDeemed-Retractible<\/td>\nQuote: 22.06 – 22.45
\nSpot Rate : 0.3900
\nAverage : 0.2337<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.06
\nBid-YTW : 6.08 %<\/td>\n<\/tr>\n

CU.PR.A<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.85 – 26.24
\nSpot Rate : 0.3900
\nAverage : 0.2377<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-02-09
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.85
\nBid-YTW : -14.70 %<\/td>\n<\/tr>\n

TD.PR.P<\/td>\nDeemed-Retractible<\/td>\nQuote: 26.38 – 26.69
\nSpot Rate : 0.3100
\nAverage : 0.1749<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-11-01
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.38
\nBid-YTW : 2.86 %<\/td>\n<\/tr>\n

RY.PR.B<\/td>\nDeemed-Retractible<\/td>\nQuote: 26.07 – 26.48
\nSpot Rate : 0.4100
\nAverage : 0.2920<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-08-24
\nMaturity Price : 25.75
\nEvaluated at bid price : 26.07
\nBid-YTW : 3.52 %<\/td>\n<\/tr>\n

RY.PR.H<\/td>\nDeemed-Retractible<\/td>\nQuote: 27.23 – 27.64
\nSpot Rate : 0.4100
\nAverage : 0.2964<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-05-24
\nMaturity Price : 26.00
\nEvaluated at bid price : 27.23
\nBid-YTW : 2.42 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

The bloom is off the ETF rose: As more and more exchange-traded funds enter the market, appetites for new baskets of stocks seem to be diminishing \u2013 at least in the United States. According to …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-17541","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17541","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=17541"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17541\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=17541"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=17541"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=17541"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}